CBOE EFA ETF Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Thursday, October 22nd, 2026
1 Day
144.55%
decreased by 10.42%
1 Week
145.60%
decreased by 9.37%
1 Month
148.56%
decreased by 6.41%
Analysis last updated: Thursday, October 22, 2026 at 11:37 AM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 2008 to Oct 16, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 260% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
σ
GJR-GARCH Model
Tap to view equation
Inverse leverage: Positive returns increase volatility 260% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 5.0000 | 5.17*** |
| αARCH | 0.2149 | 4.48*** |
| βGARCH | 0.8101 | 34.74*** |
| γleverage | -0.1552 | -2.32** |
0.947
Persistence13d
Half-lifeσ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 5.17*** |
α ARCH Response to squared shocks | 0.2149 | 4.48*** |
β GARCH Volatility persistence | 0.8101 | 34.74*** |
γ leverage Additional response to negative shocks | -0.1552 | -2.32** |
Persistence:
0.947
Half-life:
13 days
Other CBOE EFA ETF Volatility Index Analyses
Other GJR-GARCH Analyses on Volatility Indices